Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 10 | 9 | 10 |
| Score | 7.44 | 6.29 | 8.62 |
| Market Cap (Millions USD) | 1690.64 | 1637.01 | 1643.15 |
| Predicted Beta | 3.5 | 3.5 | 3.5 |
| Idiosyncratic Volatility | 3.12 | 4.49 | 5.11 |
Annualized return and volatility
| IGM | |
|---|---|
| Annualized Return | 0.0878 |
| Annualized Std Dev | 0.2382 |
| Annualized Sharpe (Rf=0%) | 0.3686 |
Row
Daily Return Statistics
| IGM | |
|---|---|
| Observations | 4804.0000 |
| NAs | 310.0000 |
| Minimum | -0.0830 |
| Quartile 1 | -0.0058 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1125 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | 0.2256 |
| Kurtosis | 5.6218 |
Downside Risk
| IGM | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0104 |
| Downside Deviation (0%) | 0.0104 |
| Maximum Drawdown | 0.6559 |
| Historical VaR (95%) | -0.0248 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0288 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-05-23 | 2002-10-09 | 2011-02-07 | -0.6559 | 2485 | 351 | 2134 |
| 2018-08-30 | 2018-12-24 | 2019-03-21 | -0.2418 | 142 | 82 | 60 |
| 2011-02-18 | 2011-08-19 | 2012-02-03 | -0.2011 | 245 | 128 | 117 |
| 2001-03-26 | 2001-04-04 | 2001-04-18 | -0.1893 | 18 | 9 | 9 |
| 2015-12-07 | 2016-02-09 | 2016-07-12 | -0.1731 | 152 | 45 | 107 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IGM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | 0.0 | 3.3 | 1.4 | 0.0 | 1.6 | 0.0 | -2.4 | 3.6 | 0.0 | 0 | 7.7 |
| 2002 | -1.2 | 5.3 | 0.5 | -0.9 | 0.0 | -4.8 | -3.9 | 0.0 | 4.3 | 3.3 | 0.0 | 0 | 2.2 |
| 2003 | 0.0 | 0.0 | -0.1 | 0.5 | 0.0 | 1.5 | -0.6 | 0.0 | 1.7 | 0.0 | 1.1 | 0 | 4.2 |
| 2004 | 0.0 | 1.2 | 1.6 | 0.0 | -0.4 | -2.2 | 0.0 | 0.9 | 3.1 | 0.6 | 2.2 | 0 | 7.2 |
| 2005 | 0.5 | 1.0 | -0.6 | 0.0 | 1.0 | 0.2 | 0.5 | -0.4 | 0.0 | -0.1 | 1.9 | 0 | 4.0 |
| 2006 | 0.1 | 2.0 | 0.0 | -0.8 | 1.9 | 0.0 | -1.5 | 0.2 | 0.0 | -0.8 | -1.2 | 0 | -0.3 |
| 2007 | 0.0 | -0.5 | 0.0 | 0.3 | 0.1 | 0.0 | 0.9 | 0.0 | 1.2 | -1.5 | 0.0 | 0 | 0.4 |
| 2008 | 1.6 | 0.0 | 3.6 | 3.1 | 0.0 | 0.5 | -0.8 | 0.0 | -1.6 | 0.0 | -7.4 | 0 | -1.5 |
| 2009 | 0.0 | 0.0 | 2.3 | 0.6 | 3.5 | 0.4 | 0.0 | -1.9 | -2.8 | 0.0 | 1.2 | 0 | 3.2 |
| 2010 | 1.4 | 1.6 | -0.2 | 0.0 | -1.1 | -0.4 | 0.0 | 3.0 | -0.2 | 0.2 | 2.1 | 0 | 6.5 |
| 2011 | 1.9 | -1.7 | -0.1 | 0.0 | -2.3 | 1.7 | -0.5 | -1.2 | 0.0 | -2.8 | 0.5 | 0 | -4.5 |
| 2012 | 0.9 | 0.6 | 0.0 | 0.2 | -2.9 | 0.0 | -0.5 | 0.0 | -0.1 | 1.9 | 0.0 | 0 | 0.1 |
| 2013 | 1.1 | 0.3 | -0.9 | -1.0 | 0.0 | 0.5 | 1.3 | 0.0 | 1.0 | 0.0 | 0.0 | 0 | 2.3 |
| 2014 | 0.0 | 0.0 | 1.5 | 0.2 | 0.0 | 1.3 | -0.5 | 0.0 | -1.8 | 0.0 | -1.3 | 0 | -0.7 |
| 2015 | 0.0 | 0.0 | -0.7 | 1.0 | 0.5 | 0.5 | 0.0 | -3.2 | 0.0 | 0.0 | 1.2 | 0 | -0.8 |
| 2016 | 0.3 | 2.9 | 0.8 | 0.0 | -0.1 | 0.2 | 0.3 | 0.3 | 0.0 | -0.8 | -2.3 | 0 | 1.6 |
| 2017 | 0.5 | 1.4 | 0.0 | 0.9 | 0.4 | 0.0 | 0.4 | -0.1 | 0.0 | -0.1 | -0.6 | 0 | 2.9 |
| 2018 | -0.3 | -1.6 | 0.0 | 1.1 | 1.7 | 0.0 | 0.6 | 0.0 | 0.2 | 1.4 | 0.0 | 0 | 3.1 |
| 2019 | 0.0 | 0.9 | 1.5 | -0.5 | 0.0 | 1.4 | -0.6 | 0.0 | -0.9 | 1.0 | 0.0 | 0 | 2.8 |
Row
Rolling Performance Chart
Snail Trail Chart
